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oai:docta.ucm.es:20.500.14352/275342025-02-11T12:59:19Zcom_20.500.14352_14col_20.500.14352_17

00925njm 22002777a 4500 dc García Hiernaux, Alfredo Alejandro author Guerrero Burbano, David Esteban author McAleer, Michael author 2015 This paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and presents a test of increasing market integration. A distinction is made between the economic concepts of price convergence in mean and variance. When both types of convergence occur, prices are said to converge in distribution. We present concepts and definitions related to the market integration process, link these to price convergence in distribution, argue that the Law of One Price is not a sufficient condition for market integration, and present a test of price convergence in distribution. We apply our methodology to two different cases, namely the integration of: i) the inland grains market in 19th Century USA, and ii) the Eurozone long-term bonds market after the euro entered circulation. 2341-2356 https://hdl.handle.net/20.500.14352/27534 https://www.ucm.es/icae https://www.ucm.es/fundamentos-analisis-economico2/documentos-de-trabajo-del-icae Market Integration Dynamics and Asymptotic Price Convergence in Distribution